Subadditivity of Cost Functions Lecture XX Concepts of Subadditivity Evans, D. S. and J. J. Heckman. A Test for Subadditivity of the Cost Function with an ...
How do you allocate capital? ... Sum of Marginal Capitals is Capital. Will be strictly subadditive without perfect correlation. ... Ways to Allocate Capital #2 ...
Technically, a natural monopoly exists in an industry where the costs are subadditive. ... Sustainable natural monopoly is one where entry can be prevented. ...
Title: Quantum Communication: A real Enigma Author: Patrick Hayden Last modified by: Patrick Hayden Created Date: 6/3/1997 12:46:02 AM Document presentation format
r(X) = Max(X) Next simplest - Tail Value at Risk. r(X) = Average of top (1-a) ... For each line h, multiply each loss by b. Generates correlation between lines. ...
... management after the 1987 market crash J.P. Morgan employees credited for developing VaR Known as the 4:15pm report RiskMetrics spinoff in 1994 CreditMetrics ...
28 year old Nick Leeson $1,300,000,000 loss. bought by ING for $1.5. Zvi Wiener. VaR ... FASB FAS 133 www.fas133.com, FAS 107. IASC, IAS 39 www.iasc.org.uk ...
BA 420/Fox. Session 6. 1. Judgment 4: Judging Probabilities. I. Kodak in China Scenarios. II. NML Pharmaceuticals. III. Essentials of Probability Theory ...
Noise sensitivity of portfolio selection under various risk measures Imre Kondor Collegium Budapest and E tv s University, Budapest, Hungary Risk Measurement and ...
Noise sensitivity of risk measures Imre Kondor Collegium Budapest and E tv s University, Budapest, Hungary Institute for Theoretical Sciences, a Notre Dame ...
Title: PowerPoint Presentation Last modified by: Jos Ignacio Latorre Created Date: 1/1/1601 12:00:00 AM Document presentation format: Presentaci n en pantalla
Risk measurement The key problem for the construction of a risk ... positions are marked-to-market ... In Basel II and Basel III the banks are required ...
Entropy in the quantum world. Von Neumann's entropy ... study statistical mechanics.' - 'States of Matter' ... 'Quantum Mechanics', Eugen Merzbacher, Wiley, 1998 ...
... vengono simulati scenari con la tecnica Monte Carlo, le posizioni vengono rivalutate in ogni scenario e viene calcolato il percentile empirico delle perdite.
Note: This week's lectures will be extremely theoretical. ... 2. Example: discounted air fares. 3. Competitive concessions and. the Robinson-Patman Act. ...
In this study, we focus on the inefficiency using DEA (Data Envelopment ... Existence of statistical error: We may consider the boot strap method, for example. ...
Application of Random Matrices to Economy and Other Complex Systems, Cracow, May ... assigned to various positions in the standard model purport to cover the risk ...
Any quantile measure. Examples of coherent measures. TailVaR90 ... A quantile associated with the 'bad tail' of a distribution (e.g., 85th percentile) ...
In the minimization process places on the specified quantile and gets the value of VaR. ... takes the value of VaR(X(w)) associated to the quantile k/N. ...
Set of requests, set of composition plans. Which plans to execute? ... Existing approaches (Aubin; Bunariu;Nishizaki,Sakawa) Shapley value, Core, Nucleolus and others ...
Roger Colbeck (ETH Zurich) Nilanjana Datta (U Cambridge) Oscar Dahlsten (ETH Zurich) ... S( A | B ) = lim 1 limn 1 H ( A1 ... An | B1 ... Bn) / n. Remark ...
Constructive Algorithms for Discrepancy Minimization Nikhil Bansal (IBM) Discrepancy: What is it? Study of gaps in approximating the continuous by the discrete.
Our main goal is to define a formalism for a PT where basic concepts (Asset, ... An appropriate formalism should not only describe one of these aspects, but must ...
Title: Quantum Communication: A real Enigma Author: Patrick Hayden Last modified by: Patrick Hayden Created Date: 6/3/1997 12:46:02 AM Document presentation format
Conjectured characterization: All mechanisms that give a good approximation ... Even if the conjecture is false, still the only technique that we currently know. ...
Any quantile measure. Examples of coherent measures. TailVaR90 ... A quantile associated with the 'bad tail' of a distribution (e.g., 85th percentile) ...
optimization vs. risk measurement, model-simulation approach, random-matrix ... Perron) eigenvalue, with the corresponding eigenvector having all positive components. ...
Markowitz theory separates the identification of the 'objective' assets' risk ... No penalization for exposure size. Adopts VaR as a risk measure encouraging cheating. ...
Information geometry. Learning a distribution. Toy motivating ... L = affine subspace given by ... the prior onto the constraint-satisfying affine subspace ...
Differing Perspectives: Case of Mexican White Corn Buyers ... Buy-Side Proposition: Sees a shot gun -Many Products -Many Characteristics -Industrial Needs ...
Cloud Break & Christmas Creek. 7. Criterion (a) - Promotion of Competition ... What are the costs and benefits of access verses the alternatives to access? ...
Office: First Hawaiian Tower, 5th floor, Tel: 544 0807 ... Study: How do Hawaiian Banks manage their ... The risk for the European Airlines is that the US ...
Edward J. Kane, BC 04-6. 3. A bank needs to post enough capital to support its unhedged risks. ... Edward J. Kane, BC 04-6. 4. In Oct. 1999, John Reed, then ...
... to-eat breakfast cereals: high concentration. Top 4 firms account for ... measures of concentration may assign firms at different stages to the same industry ...
Dispatchability, if fixed cost component is small. Demand curtailment ... by permitting us to quickly and safely zoom our studies 'up and down' in detail, ...
... Cummins-Phillips using full information betas found required returns around 20% Problems with CAPM How to interpret Fama-French? Proxies for higher co-moments?
Title: Kein Folientitel Author: Gr nder Last modified by: lehnm Created Date: 4/29/1996 9:22:22 AM Document presentation format: A4-Papier (210x297 mm)
Well, while on holiday your brain was taking in all those pleasant environmental ... of the waves crashing on the beach and none of those environmental cues are ...